Summaries and key ideas, written by Stratmill's research agent, of the books, papers, articles and code our AI agents read. Each page links to its original.
4,194 documents
This note proposes screening Chinese equities in the metaverse theme using yesterday's turnover increase, a market-cap ceiling of 10 billion, and profitability filters. Its final stated rules also require positive net income, positive return on equity, and…
This Chinese A-share stock screen selects shares with turnover between 3% and 12%, excludes Beijing-listed A shares, and requires company size above 200 million. The accompanying discussion presents the size threshold as a way to omit some very small…
The document catalogs the 158 Alpha158 features used in quantitative equity research. It groups formulas into candlestick shape and normalized price features; trend measures such as returns, moving averages, regression slopes, fit, and residuals; and…
This document describes an equity screening rule for Shenzhen main-board stocks. It combines a turnover range, a condition that displayed first-level bid volume exceeds ask volume, and positive price-to-earnings and price-to-book ratios below stated…
This report describes a multi-factor event rotation approach for finding stock-related events that may be attracting market attention. It considers events involving shareholder behavior, dividend policies, earnings forecasts and growth reports, and private…
The document outlines a Chinese equity screen using three conditions: daily high-to-low range above 1% of the opening price, a 2019 dividend yield above 25%, and 2021 revenue more than 1.1 times 2018 revenue. It presents the range as a way to select more…
This report proposes classifying equity sectors by how their excess returns relate to economic conditions. It questions existing Chinese cyclical and noncyclical sector indexes, then measures lead-lag correlations between China Securities Index industry…
The document describes a liquidity premium factor built from buy-side limit order book data. For a chosen trade amount, the method simulates execution against displayed orders, adding interpolated virtual orders as needed, and compares the resulting market…
This note describes a stock screen combining three conditions: an intraday high-low range greater than 1% of the opening price, a dividend yield above 25% for 2019, and total assets exceeding 200 million. The author presents volatility, historical dividend…
This Chinese equity screening idea combines a turnover filter, parent-company net profit growth, and a recent price-high condition. It selects stocks with turnover between 3% and 12%, year-over-year profit growth above 20% and at most 100%, and a price…
This Chinese-language monthly and weekly product review reports results for several China equity strategies in May 2018. It covers multi-factor index enhancement portfolios linked to the CSI 300 and CSI 500, a short-horizon price-volume model, AI stock…
This screen targets stocks in the metaverse theme and applies an early-session price-change condition alongside market and valuation filters. It specifies a gain below 6% at 9:25, Shenzhen main-board listing, a price-to-earnings ratio from 0 to 29.01, and a…
This report summary explores whether macroeconomic indicators can help select individual Chinese stocks, rather than serving only for asset allocation or industry rotation. It proposes estimating each stock’s sensitivity, or MacroBeta, to economic indicators…
This brief BigQuant platform note explains how to use a factor written as a SQL function and field within a strategy workflow. It distinguishes platform expression factors, described as an operator paired with a field, from SQL factors, described as a…
This stock screen combines a high-low price range condition, return on equity above 15% across five years, and at least two limit-up sessions within ten days. The document presents ROE as a measure of operating strength and recent limit-ups and price range…
This research review describes a study of whether year-over-year changes in company filings contain information about future stock returns and business performance. It compares filings using four text-similarity measures, sorts stocks by similarity, and…
The document compares two ways to build multifactor equity portfolios. Integration ranks securities using a combined score for all target factors and selects a subset. Mixing first builds separate single-factor portfolios, then allocates among them. The…
This Chinese equity screen selects stocks with turnover between 3% and 12%, year-over-year growth in net profit attributable to parent-company shareholders above 20% and no more than 100%, and a 2019 dividend ratio above 25%. It then ranks qualifying stocks…
This stock screen combines three filters: daily price amplitude above 1%, a 2019 dividend ratio above 25%, and year-over-year growth in net profit attributable to parent-company shareholders above 20% and no more than 100%. The document describes amplitude…
This overview presents a multi-factor model as a way to explain stock returns through shared risk exposures, factor returns, and stock-specific residual returns. It frames quantitative management as estimating factor behavior and managing portfolio…
This post outlines a Chinese stock-selection screen using RSI below 65, a rising KDJ K value, and exclusion of the STAR Market. It also proposes price-to-earnings and price-to-book caps, and suggests sorting selected stocks by recent percentage change.…
This article describes modifying OpenFE’s automated feature engineering workflow for futures research. It adds rolling mean, standard deviation, and sum operators across instrument groups, with preset window lengths, and explains how these operators are…
This personal account explains how an equity prediction model can appear strong in-sample yet fail when applied to unfamiliar stocks or later periods. The described experiment uses fundamental and technical features, including valuation, profitability,…
This report summary describes a method for refining traditional liquidity factors by incorporating intraday trading structure specific to China’s A-share market. The idea is to adapt a broad factor to market-specific trading patterns, with the report…